Export fails at Save Download – Cannot find file

To export my blog. I go to Tools → Export and download the XML (WXR) file to your computer. The only response is “Firefox can’t find the file at …” ( I get the analogous response with Chrome, and IE) I can export a month of posts but exporting a few yrs of posting a month at a time sans comments doesn’t seem an elegant solution. I would appreciate help in resolving this problem. Thank you.